Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1094 |
| Annualized Std Dev | 0.2610 |
| Annualized Sharpe (Rf=0%) | 0.4192 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3961.0000 |
| NAs | 1.0000 |
| Minimum | -0.1077 |
| Quartile 1 | -0.0084 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0099 |
| Maximum | 0.1039 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0003 |
| Stdev | 0.0164 |
| Skewness | -0.0957 |
| Kurtosis | 3.4320 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0118 |
| Gain Deviation | 0.0110 |
| Loss Deviation | 0.0115 |
| Downside Deviation (MAR=210%) | 0.0163 |
| Downside Deviation (Rf=0%) | 0.0115 |
| Downside Deviation (0%) | 0.0115 |
| Maximum Drawdown | 0.4569 |
| Historical VaR (95%) | -0.0255 |
| Historical ES (95%) | -0.0374 |
| Modified VaR (95%) | -0.0258 |
| Modified ES (95%) | -0.0405 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-16 | 2009-03-09 | 2010-10-18 | -0.4569 | 758 | 351 | 407 |
| 2015-07-20 | 2016-06-27 | 2020-07-20 | -0.4504 | 1260 | 238 | 1022 |
| 2011-05-13 | 2011-08-08 | 2012-07-02 | -0.2636 | 287 | 60 | 227 |
| 2006-02-28 | 2006-07-17 | 2007-04-23 | -0.2112 | 289 | 97 | 192 |
| 2014-02-25 | 2014-04-11 | 2014-08-25 | -0.1886 | 127 | 34 | 93 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | 0 | 1.2 | 0.6 | 0.9 | -0.4 | 1.9 | -0.8 | 3.4 |
| 2006 | 1 | 1.2 | 0.2 | -1 | 1.5 | 0.7 | -1.2 | 0.2 | -0.1 | -2.3 | -1 | -0.2 | -1 |
| 2007 | 1.2 | -1.1 | 1.1 | 0 | 0 | -1.1 | 0.3 | 1 | 1.8 | -1 | 0.3 | -1.2 | 1.2 |
| 2008 | 2.1 | -1.4 | 2.7 | 2.4 | -0.3 | 1.4 | -1.6 | -0.7 | -1.7 | 3.3 | -9 | 1 | -2.3 |
| 2009 | -0.2 | -3.6 | -0.9 | -1.5 | -2.9 | -0.2 | -0.8 | -2.3 | -3.4 | -1.9 | 0.7 | -0.7 | -16.4 |
| 2010 | 0.6 | 4.4 | 1 | -1.8 | -2.4 | -1.9 | 0.9 | 3.1 | 0.1 | -0.5 | 1.3 | -0.6 | 3.9 |
| 2011 | 1.3 | -1.2 | 0.7 | -0.6 | -2.4 | 1 | -1.6 | -2.1 | -1.4 | -4 | 0.5 | -0.1 | -9.7 |
| 2012 | 2.5 | 0.9 | -0.2 | -0.3 | -2.9 | 2.5 | -1.7 | 0.2 | 0.4 | 2.1 | -0.6 | 1.5 | 4.2 |
| 2013 | 1.2 | 1.6 | -0.9 | -1.5 | -0.9 | 3.6 | 1.7 | -1.2 | 1.6 | 1.1 | 0.6 | -0.3 | 6.7 |
| 2014 | -1.1 | -2.5 | 2.4 | 0.4 | -0.6 | 2.1 | 0 | 1.3 | -0.7 | -0.4 | -1.4 | -0.1 | -0.8 |
| 2015 | -1.2 | -1.3 | 0.6 | 2.6 | -0.8 | -0.5 | 1 | -2.6 | 1.1 | -0.7 | 0.4 | -0.9 | -2.3 |
| 2016 | 0.5 | 3.5 | 2.6 | -2.6 | 0.4 | 2.4 | 2.8 | 0.4 | 1.6 | 1.4 | -2.7 | -1.1 | 9.5 |
| 2017 | 0.8 | 0.9 | -0.8 | 1.3 | 2.4 | -0.4 | -0.6 | 1.1 | 1 | -1.2 | -0.4 | -1.1 | 2.8 |
| 2018 | 0.5 | -1.6 | 0.9 | 0.3 | 1.2 | 1.7 | 0.4 | -0.4 | -1.2 | 3.3 | 1.2 | 1.8 | 8.5 |
| 2019 | 0.1 | 2.5 | 0 | -1.2 | -2.2 | 0.6 | 2.7 | -0.3 | -1.4 | 2.2 | -0.2 | 0.6 | 3.2 |
| 2020 | -1.4 | -2.3 | -4.6 | -2.7 | -0.7 | 1 | -2.3 | -1.5 | 1.5 | -2.4 | 1.4 | -1.1 | -14.3 |
| 2021 | 3.6 | 2.6 | 2.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 8.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
